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Merge statespace module from https://github.com/jessegrabowski/pymc_statespace #174

Merged
merged 140 commits into from
Aug 18, 2023
Merged

Merge statespace module from https://github.com/jessegrabowski/pymc_statespace #174

merged 140 commits into from
Aug 18, 2023

Commits on May 29, 2023

  1. move https://github.com/jessegrabowski/pymc_statespace to pymc-experim… 

    …ental
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  2. Make tests compatible with float32

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  3. Fix remaining tests that failed when dtype is float32

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  4. Fix remaining tests that failed when dtype is float32

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  5. Merge remote-tracking branch 'origin/statespace' into statespace

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  6. Merge branch 'main' into statespace

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Commits on Jul 8, 2023

  1. Merge branch 'pymc-devs:main' into statespace

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  2. Merge branch 'statespace' of https://github.com/jessegrabowski/pymc-e… 

    …xperimental into statespace
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Commits on Jul 12, 2023

  1. Replace print with logger.info

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  2. Use getattr to access model variables in `gather_required_random_va… 

    …riables`
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  3. Reduce code duplication, eliminate use of pathlib in favor of expli… 

    …ct long paths
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  4. Refactor PyMCStateSpace and PytensorRepresentation to no longer r… 

    …equire data in `__init__`
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Commits on Jul 13, 2023

  1. Merge remote-tracking branch 'origin/statespace' into statespace

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  2. Refactor kalman filters to remove singleton dimensions everywhere pos… 

    …sible
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  3. Add tests for sarimax, add first pass at state space distribution

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Commits on Jul 14, 2023

  1. Merge remote-tracking branch 'origin/statespace' into statespace

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Commits on Jul 15, 2023

  1. Add more helpers to statespace class for building PyMC model

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Commits on Jul 16, 2023

  1. Changes to SARIMAX to make states interpretable, plus bad draft pymc … 

    …distributions for kf outputs
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  2. Distribution attempt 2

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Commits on Jul 18, 2023

  1. Distribution attempt 3

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  2. Fix broken tests

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Commits on Jul 19, 2023

  1. Fix remaining tests

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  2. Preserve name/shape information after updates to matrices

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  3. Add test for SequenceMvNormal

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Commits on Jul 20, 2023

  1. Add logp as parameter to SequenceMvNormal

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  2. Add logp argument to SequenceMvNormal test

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  3. Refactor shape checking to use type.shape 

    Refactor `statespace.build_statespace_graph()` to use new distribution, preparing for simulation refactor
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  4. Refactor shape checking to use type.shape 

    Refactor `statespace.build_statespace_graph()` to use new distribution, preparing for simulation refactor
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Commits on Jul 21, 2023

  1. Add float32 test skip back to test_filters_match_statsmodel_output

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  2. Refactor LinearGaussianStateSpace for use in prior/posterior predic… 

    …tive sampling
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  3. Infer coordinates for statespace matrices from parameters

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Commits on Jul 22, 2023

  1. Refactor posterior predictive sampling, coords, and data handling

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  2. Remove typecheck with Union

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  3. Fix float32 error in tests

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  4. Fix float32 error in tests

    @jessegrabowski
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  5. Fix bugs in SARMIAX, add measurement error option to SARIMAX, update … 

    …notebooks.
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  6. always add TIME_DIM to model coords, even when data aren't given dims

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  7. always add TIME_DIM to model coords, even when data aren't given dims

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Commits on Jul 23, 2023

  1. Add forecast method to Statespace, add coord/dim info to VARMAX, … 

    …update ARIMA notebook to show forecasting
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Commits on Jul 24, 2023

  1. Add impulse_response_function method to Statespace, update `ARIMA… 

    …` example notebook
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  2. Update VARMAX notebook, remove pm.DiracDelta from `Statespace.forec… 

    …ast` (JAX doesn't support it)
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Commits on Jul 25, 2023

  1. Update VARMAX example notebook

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  2. Add docstrings to statespace methods and utilities

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  3. Merge remote-tracking branch 'origin/statespace' into statespace

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Commits on Jul 26, 2023

  1. More docstrings

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Commits on Jul 27, 2023

  1. documentation

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  2. More docs, fix failing tests

    @jessegrabowski
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  3. Implement conditional and unconditonal sampling from prior idata

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  4. Trying to get the API docs to render

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  5. Trying to get the API docs to render

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  6. Revert "Trying to get the API docs to render" 

    This reverts commit 3f766d3.
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  7. Trying to get the API docs to render, revert local change to `pyproje… 

    …ct.toml`
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  8. Trying to get the API docs to render

    @jessegrabowski
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  9. Remove specify_broadcast in SingleTimeseriesFilter.update

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  10. Fixing docstrings

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  11. Fixing docstrings

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  12. create toctree hierarchy

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  13. create toctree hierarchy

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  14. create toctree hierarchy

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  15. docstrings

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  16. docstrings

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  17. docstrings

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  18. Making a table in a docstring

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  19. Making a table in a docstring

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Commits on Jul 28, 2023

  1. More docs

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  2. More docstrings

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  3. More docstrings

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  4. More docstrings

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Commits on Jul 29, 2023

  1. Remove BayesianLocalLevel, add a new StructuralTimeSeries module

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  2. Remove BayesianLocalLevel, add a new StructuralTimeSeries module

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Commits on Jul 30, 2023

  1. Bug fixes in structural, new example notebook

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Commits on Jul 31, 2023

  1. Bug fixes in structural, update structural example

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  2. Kalman filter no longer returns a forecast on the predicted states 

    Predicted state dimensions are no longer incorrectly shifted backwards 1 step
Remove `extended_time` dim from everywhere
Seed all tests
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  3. Fix bugs in IRF API 

    Update VARMAX example notebook
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  4. Fix bugs in IRF API 

    Update VARMAX example notebook
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  5. Add airpass.csv test data 

    Update example notebooks
More docstrings
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  6. More docstrings

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  7. More docstrings

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  8. More docstrings

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  9. More docstrings

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  10. Fix VARMAX tests

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  11. More docs

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  12. More docs, allow user to name states in seasonal components

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Commits on Aug 1, 2023

  1. more docs, rename test_structural_model to test_structural

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  2. Allow non-integer seasonal length in FrequencySeasonality (breaks t… 

    …ests)
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  3. Seed sample_posterior and sample_prior tests, unbreak `test_struc… 

    …tural.py`
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Commits on Aug 2, 2023

  1. Set test seed as a global constant

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  2. Remove numba dependency 

    Co-authored-by: Ricardo Vieira <[email protected]>
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  3. Add helper function to StructuralTimeSeries to reconstruct componen… 

    …ts from hidden states
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  4. Add fast_eval as test utility

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  5. Changes from review feedback

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  6. Try to fix failing test

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  7. Catch expected test warnings with pytest.mark.filterwarnings

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  8. Scope fixtures in sampling tests to speed them up a bit

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Commits on Aug 3, 2023

  1. More fixes from review

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  2. Trying to fix the failing test

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  3. Remove numba from windows-environment-test.yml

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  4. Test for NaNs in sampled statespace objects

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  5. Redo the Custom Statespace notebooks

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  6. Add ImputationWarning to mask_missing_values_in_data

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  7. Add ImputationWarning to mask_missing_values_in_data 

    Raise if data contains the missing mask value

Add `missing_variable_fill` argument to `build_statespace_graph`
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    jessegrabowski committed Aug 3, 2023
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  8. Add off-diagonal averaging to covariance stabilize function.

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    jessegrabowski committed Aug 3, 2023
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Commits on Aug 4, 2023

  1. Covariance matrices output by kalman filter not always PSD

    @jessegrabowski
    jessegrabowski committed Aug 4, 2023
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  2. Add some stability tricks to Kalman filters 

    Add test that all filter outputs are PSD
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    jessegrabowski committed Aug 4, 2023
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  3. Add measurement_error kwarg to PyMCStateSpace

    @jessegrabowski
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  4. Allow eig == 0.0 to pass PSD test

    @jessegrabowski
    jessegrabowski committed Aug 4, 2023
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  5. Add stability tests to VARMAX and SARIMAX

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    jessegrabowski committed Aug 4, 2023
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Commits on Aug 5, 2023

  1. LGSS distribution doesn't need to know anything about measurement error 

    Add jitter to `H` in unconditional_sampling when there is no measurement error

Stabilize `P_filtered` and `P_smoothed` as every kalman step

Loosen `atol` and `rtol` for kalman filter tests when comparing with statsmodels to account for all the diagonal jittering
    @jessegrabowski
    jessegrabowski committed Aug 5, 2023
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  2. Re-run Structural Timeseries Modeling.ipynb with some new features

    @jessegrabowski
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  3. Delete out-of-date example notebook

    @jessegrabowski
    jessegrabowski committed Aug 5, 2023
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  4. Updates to Making a Custom Statespace Model.ipynb

    @jessegrabowski
    jessegrabowski committed Aug 5, 2023
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  5. Link to the bVAR example notebook in the VARMAX Example.ipynb

    @jessegrabowski
    jessegrabowski committed Aug 5, 2023
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  6. Make the IRF plots more readable in ARIMA Example.ipynb

    @jessegrabowski
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  7. Increase JITTER_DEFAULT when pytensor is in float32 mode

    @jessegrabowski
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  8. Increase JITTER_DEFAULT when pytensor is in float32 mode

    @jessegrabowski
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  9. Merge remote-tracking branch 'origin/statespace' into statespace 

    # Conflicts:
#	pymc_experimental/statespace/utils/constants.py
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    jessegrabowski committed Aug 5, 2023
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  10. Add stabilization to univariate filter covariance

    @jessegrabowski
    jessegrabowski committed Aug 5, 2023
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  11. Trying to get the last tests to pass

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  12. Different stability strategy for UnivariateFilter

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  13. Skip overly sensitive float32 tests

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Commits on Aug 8, 2023

  1. Remove update function 

    `make_symbolic_graph` is now the core method for `PyMCStateSpace`

Add shape and name info to `KalmanFilter` outputs
    @jessegrabowski
    jessegrabowski committed Aug 8, 2023
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Commits on Aug 9, 2023

  1. All tests pass 

    Update Structural Timeseries Modeling.ipynb to reflect refactor
    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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  2. Update Making a Custom Statespace Model.ipynb to reflect refactor

    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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  3. Relax float32 test tolerance in test_structural.py

    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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  4. Set dtype on numpy arrays used in test_structural.py

    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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  5. Remove dictionary merge with pipe 

    Tweak tolerances for test in `test_structural.py`
    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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  6. Disable all PSD tests for univariate filter when floatX=float32

    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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  7. Remove variable_by_shape helper, use pt.tensor directly.

    @jessegrabowski
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  8. Remove unused helper functions 

    Add tests for impulse_response_function and forecast

Add tests for SARIMAX in "interpretable" mode
    @jessegrabowski
    jessegrabowski committed Aug 9, 2023
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Commits on Aug 10, 2023

  1. Adjust new tests for float32

    @jessegrabowski
    jessegrabowski committed Aug 10, 2023
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  2. Add test for equivalence between SARIMA representations 

    Add reference to Harvey (1989) in SARIMA docstring
    @jessegrabowski
    jessegrabowski committed Aug 10, 2023
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  3. Add test for equivalence between SARIMA representations 

    Add reference to Harvey (1989) in SARIMA docstring
    @jessegrabowski
    jessegrabowski committed Aug 10, 2023
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  4. Use self.mode in all kalman filter scans

    @jessegrabowski
    jessegrabowski committed Aug 10, 2023
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Commits on Aug 12, 2023

  1. Begin adding seasonal components to SARIMAX.py

    @jessegrabowski
    jessegrabowski committed Aug 12, 2023
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Commits on Aug 13, 2023

  1. Implement seasonal lags and differences in SARIMAX

    @jessegrabowski
    jessegrabowski committed Aug 13, 2023
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Commits on Aug 14, 2023

  1. Add an Exogenous Regression component to structural.py

    @jessegrabowski
    jessegrabowski committed Aug 14, 2023
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Commits on Aug 18, 2023

  1. Expand support for exogenous variables in statespace models 

    Re-run notebooks
    @jessegrabowski
    jessegrabowski committed Aug 18, 2023
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  2. Tweak tests

    @jessegrabowski
    jessegrabowski committed Aug 18, 2023
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  3. Tweak tests

    @jessegrabowski
    jessegrabowski committed Aug 18, 2023
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  4. Merge remote-tracking branch 'origin/statespace' into statespace

    @jessegrabowski
    jessegrabowski committed Aug 18, 2023
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